A multivariate HAR-RV model with heteroscedastic errors and its WLS estimation (Q2036955)
From MaRDI portal
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | A multivariate HAR-RV model with heteroscedastic errors and its WLS estimation |
scientific article |
Statements
A multivariate HAR-RV model with heteroscedastic errors and its WLS estimation (English)
0 references
30 June 2021
0 references
heterogeneous autoregressive-realized volatility (HAR-RV) model
0 references
GARCH(1,1) model
0 references
weighted least squares estimation
0 references
asymptotic normality
0 references
0 references
0 references